This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Staatliche Schulden sind in aller Munde. Die Wirtschafts- und Finanzkrise Europas ist nicht zuletzt eine Krise staatlicher und kommunaler Verschuldung. In Deutschland rücken neben den Schulden von Bund und Ländern auch die Verpflichtungen der Kommunen wieder ins Zentrum der Betrachtung. Mit...

This paper employs an asymmetric component generalized autoregressive conditional heteroskedasticity (AC-GARCH) model to test the relation between securities transaction tax (STT) and market volatility. Proponents of an STT argue that such a tax will reduce market volatility by discouraging the...

In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...

This article makes an analytical comparison between simple, compound and continuous interest discount factors. It studies the equivalency relations between the three discount factors. An analysis is performed for a limited time period and of normal economy interest rates. It makes use of the...

This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...

The liquidity of an asset in modern financial markets is a key and, yet, elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction....

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...